Article

Lazar, Emese ORCID: https://orcid.org/0000-0002-8761-0754, Wang, Shixuan ORCID: https://orcid.org/0000-0003-2113-5521 and Xue, Xiaohan (2023) Loss function-based change point detection in risk measures. European Journal of Operational Research, 310 (1). pp. 415-431. ISSN 0377-2217 doi: https://doi.org/10.1016/j.ejor.2023.03.033

Lazar, Emese ORCID: https://orcid.org/0000-0002-8761-0754 and Zhang, Ning (2022) Model risk of volatility models. Econometrics and Statistics. ISSN 2452-3062 doi: https://doi.org/10.1016/j.ecosta.2022.06.002

Lazar, Emese ORCID: https://orcid.org/0000-0002-8761-0754 and Qi, Shuyuan (2022) Model risk in the over-the-counter market. European Journal of Operational Research, 298 (2). pp. 769-784. ISSN 0377-2217 doi: https://doi.org/10.1016/j.ejor.2021.07.021

Jiang, Yushuang and Lazar, Emese ORCID: https://orcid.org/0000-0002-8761-0754 (2022) Forecasting VIX using filtered historical simulation. Journal of Financial Econometrics, 20 (4). pp. 665-680. ISSN 1479-8417 doi: https://doi.org/10.1093/jjfinec/nbaa041

Alexander, Carol, Lazar, Emese and Stanescu, Silvia (2021) Analytic moments for GJR-GARCH (1,1) processes. International Journal of Forecasting, 37 (1). pp. 105-124. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2020.03.005

Alexander, Carol and Lazar, Emese (2021) The continuous limit of weak GARCH. Econometric Reviews, 40 (2). pp. 197-216. ISSN 1532-4168 doi: https://doi.org/10.1080/07474938.2020.1799592

Lazar, Emese and Xue, Xiaohan (2020) Forecasting risk measures using intraday data in a generalized autoregressive score (GAS) framework. International Journal of Forecasting, 36 (3). pp. 1057-1072. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2019.10.007

Avino, Davide and Lazar, Emese (2020) Rethinking capital structure arbitrage: a price discovery perspective. The Journal of Alternative Investments, 22 (4). pp. 75-91. ISSN 1520-3255 doi: https://doi.org/10.3905/jai.2020.1.093

Pele, Daniel Traian, Lazar, Emese and Mazurencu-Marinescu-Pele, Miruna (2019) Modelling expected shortfall using tail entropy. Entropy, 21 (12). 1204. ISSN 1099-4300 doi: https://doi.org/10.3390/e21121204

Lazar, Emese and Zhang, Ning (2019) Model risk of expected shortfall. Journal of Banking and Finance, 105. pp. 74-93. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2019.05.017

Pele, Daniel Traian, Lazar, Emese and Dufour, Alfonso (2017) Information entropy and measures of market risk. Entropy, 19 (5). 226. ISSN 1099-4300 doi: https://doi.org/10.3390/e19050226

Avino, Davide, Lazar, Emese and Varotto, Simone (2015) Time varying price discovery. Economics Letters, 126. pp. 18-21. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2014.09.030

Alexander, Carol, Lazar, Emese and Stanescu, Silvia (2013) Forecasting VaR using analytic higher moments for GARCH processes. International Review of Financial Analysis, 30. pp. 36-45. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.05.006

Avino, Davide, Lazar, Emese and Varotto, Simone (2013) Price discovery of credit spreads in tranquil and crisis periods. International Review of Financial Analysis, 30. pp. 242-253. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.08.002

Symeonidis, Lazaros, Prokopczuk, Marcel, Brooks, Chris and Lazar, Emese (2012) Futures basis, inventory and commodity price volatility: an empirical analysis. Economic Modelling, 29 (6). pp. 2651-2663. ISSN 0264-9993 doi: https://doi.org/10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993)

Alexander, C. and Lazar, E. (2009) Modelling regime-specific stock price volatility. Oxford Bulletin of Economics and Statistics, 71 (6). pp. 761-797. ISSN 1468-0084 doi: https://doi.org/10.1111/j.1468-0084.2009.00563.x

Badescu, Alex, Kulperger, Reg and Lazar, Emese (2008) Option valuation with normal mixture GARCH models. Studies in nonlinear dynamics & econometrics, 12 (2). 5. ISSN 1558-3708 doi: https://doi.org/10.2202/1558-3708.1580

Alexander, Carol and Lazar, Emese (2006) Normal mixture GARCH(1,1): applications to exchange rate modelling. Journal of Applied Econometrics, 21 (3). pp. 307-336. ISSN 1099-1255 doi: https://doi.org/10.1002/jae.849

Book or Report Section

Lazar, Emese and Zhang, Ning (2020) Market risk measurement: preliminary lessons from the COVID-19 crisis. In: Billio, Monica and Varotto, Simone ORCID: https://orcid.org/0000-0001-5328-5327 (eds.) A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance 1. Edizioni Ca'Foscari, pp. 97-107. ISBN 9788869694424 doi: https://doi.org/10.30687/978-88-6969-442-4/007

Conference or Workshop Item

Alexander, Carol and Lazar, Emese (2004) Time aggregation of normal mixture GARCH models. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.